Cross-codifference for bidimensional VAR(1) time series with infinite variance.
Aleksandra GrzesiekMarek TeuerleAgnieszka WylomanskaPublished in: Commun. Stat. Simul. Comput. (2022)
Keyphrases
- bayesian networks
- dynamic time warping
- standard deviation
- risk measures
- non stationary
- finite sets
- data mining tasks
- neural network
- weather forecasting
- minimum variance
- multidimensional time series
- chronic hepatitis
- subsequence matching
- moving average
- financial time series
- temporal patterns
- prediction error
- correlation coefficient
- stock market
- case study